I'm assuming you mean a multi-episode disc, as a multi-session DVD would normally not work on a SA(stand alone) player.
Anyway, while I'm no expert, i've learned alot about DVD's in the last few months. First question is what kind of burner do you have? DVD+R? DVD-R? multi format? +-RW? What brand of burner are you using.
I have an NEC 1100A that does +r's it plays on quite a few SA players with no problem as long as I use RecordNow. Nero was giving me problems with alot more SA's.
I also have a Sony 510UL which is a multi- format burner, ie it burns both + and - R DVD's. The +r's that it produces however, don't work on my SA players at all. (well i have a first gen RCA player that plays everything you stick in it, but that's another story). Seems that the Sony +R's come out as DVD+R on the book type. The NEC's +R's report back as DVD-ROM so they have a much higher compatability. (Book Type has to do with a bitsetting that tells the player what kind of disc it's reading).
Anyway the Sony 510UL also produces -R's, and I've got to tell you that so far, it's worked on every single SA player I've tried it on! More than half a dozen and they are read perfectly.
BTW, be they +/-R they are always read by any PC player, so this has nothing to do whether or not they will play on a SA player.
So give us some more info and see if we can help you.